Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 6 5 8
Score 1.89 -0.7 3.88
Market Cap (Millions USD) 17986.29 16702.74 17042.24
Predicted Beta 0.87 0.88 0.88
Idiosyncratic Volatility 2.71 2.82 2.87

Annualized return and volatility

XLV
Annualized Return 0.0772
Annualized Std Dev 0.1756
Annualized Sharpe (Rf=0%) 0.4399

Row

Daily Return Statistics

XLV
Observations 5112.0000
NAs 2.0000
Minimum -0.0978
Quartile 1 -0.0048
Median 0.0004
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0061
Maximum 0.1205
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0111
Skewness 0.0013
Kurtosis 9.1891

Downside Risk

XLV
Semi Deviation 0.0080
Gain Deviation 0.0077
Loss Deviation 0.0083
Downside Deviation (MAR=210%) 0.0128
Downside Deviation (Rf=0%) 0.0078
Downside Deviation (0%) 0.0078
Maximum Drawdown 0.3917
Historical VaR (95%) -0.0174
Historical ES (95%) -0.0260
Modified VaR (95%) -0.0158
Modified ES (95%) -0.0216
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2011-04-26 -0.3917 864 320 544
2000-01-11 2001-09-20 2005-06-17 -0.3327 1390 431 959
2011-05-19 2011-08-10 2012-01-18 -0.1733 170 58 112
2015-07-21 2016-02-08 2017-03-01 -0.1709 413 143 270
2018-12-03 2018-12-24 2019-10-29 -0.1544 231 15 216

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec XLV
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.3 0.8 0.0 0.3 -0.6 0.0 0.9 -0.1 0.0 0.7 0.7 0.0 4.0
2001 1.3 -0.3 0.0 1.6 -0.3 0.0 -0.1 0.0 -1.9 1.4 0.0 0.0 1.6
2002 -0.2 1.9 -0.9 1.8 0.0 -4.2 -2.8 0.0 3.1 1.0 0.0 0.0 -0.5
2003 0.0 0.0 1.4 0.3 0.0 0.5 -1.5 0.0 1.8 0.0 1.6 0.0 4.1
2004 0.0 0.3 0.7 0.0 0.5 -1.4 0.0 0.4 0.9 -0.9 1.7 0.0 2.2
2005 1.0 0.8 -0.9 0.0 0.3 -0.1 0.5 0.0 0.0 -0.3 1.0 0.0 2.3
2006 0.6 0.1 0.0 -0.9 1.4 0.0 0.0 0.5 0.0 -0.7 -0.1 0.0 1.0
2007 0.8 -0.4 0.0 0.2 0.1 0.0 0.7 0.0 1.5 -1.4 0.0 0.0 1.5
2008 0.5 0.0 1.6 1.8 0.0 0.0 -0.8 0.0 0.7 0.0 -5.1 0.0 -1.5
2009 0.0 0.0 0.0 -0.2 0.7 0.3 0.0 -1.6 -1.4 0.0 1.8 0.0 -0.6
2010 0.6 1.0 0.6 0.0 -1.1 -0.9 0.0 2.3 0.0 0.0 1.9 0.0 4.4
2011 1.8 -0.8 0.5 0.0 -1.4 1.2 -1.7 -0.7 0.0 -1.9 0.1 0.0 -2.8
2012 1.0 0.5 0.0 0.4 -1.8 0.0 0.1 0.0 0.6 0.8 0.0 0.0 1.6
2013 0.8 0.8 0.3 -1.1 0.0 0.3 0.6 0.0 1.3 0.7 0.0 0.0 3.6
2014 0.0 0.0 0.6 0.2 0.0 1.3 0.1 0.0 -1.0 0.0 -0.2 0.0 0.9
2015 0.0 0.0 -1.0 1.4 0.4 1.1 0.0 -2.6 1.0 0.0 1.7 0.0 1.8
2016 0.2 2.1 1.1 0.0 0.4 0.6 0.6 -0.3 0.0 -0.5 -0.7 0.0 3.6
2017 0.9 1.0 0.0 0.2 1.1 0.0 -0.2 -0.1 0.0 0.2 -0.2 0.0 3.0
2018 0.0 -1.6 0.0 0.0 1.2 0.0 0.0 0.0 0.5 1.3 0.0 0.0 1.3
2019 0.1 1.4 0.2 -0.2 0.0 0.5 0.1 0.0 -1.0 0.1 0.0 -0.1 1.1

Row

Rolling Performance Chart

Snail Trail Chart